This paper studies the aggregate implications of microeconomic investment irreversibility and idiosyncratic uncertainty. We explore the ability of irreversibility to endogenously generate differences in firms sizes.

We provide a proof of the existence of a (quasi-)equilibrium in an exchange economy with short selling when the preference relations of the investors are represented by a partial preorder, a setting which encompasses the case of preference relations derived from a utility function. A second...

We consider a financial market consisting of a nonrisky asset and a risky one. We study the minimal initial capital needed in order to super-replicate a given contingent claim under the Gamma constraint, i.e. a constraint on the unbounded variation part of the hedging porfolio. In the general...

We consider a stylized bond-equity economy, which though incomplete per se, has a rich enough set of assets available for trade such that given standard assumptions about behavior under uncertainty, the equilibrium allocation would arbitrarily approximate a complete market allocation. We show,...